A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
type: Item
instance of: scholarly article
title: A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
zbMATH Open document ID: 1386.62038
author: Zhiyuan Zhang
author: Yichu Li
author: Yingying Li
published in: Journal of Econometrics
publication date: 2018-03-22T00:00:00Z
full work available at URL: 602710-Article-7-fulltext-pre.pdf
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 6852110
zbMATH Keywords: high-frequency data
zbMATH Keywords: rounding errors
zbMATH Keywords: market microstructure noise
zbMATH Keywords: integrated volatility
zbMATH Keywords: realized volatility
zbMATH Keywords: volatility estimation
zbMATH Keywords: central limit theorems
MaRDI profile type: Publication
OpenAlex ID: W3123379207
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DOI: 10.1016/J.JECONOM.2017.11.006
description: scientific article; zbMATH DE number 6852110